Security when publishing to web Power BI

My organization publishes Power BI reports to the web Power BI. The data source is via API. During this publish process, does the data get exported to another DB? I need to ensure that the security of the db is only in the source and the publishing of the dashboards do not publish it somewhere else, like Azure. The source DB is on AWS so we have assurances for data security, but unsure of when it goes through Power BI.

I couldn't find any literature on this on line and support has not answered me. Can someone please advise? Thank you.